Essays about: "implied volatility expansion"
Found 2 essays containing the words implied volatility expansion.
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1. Implied volatility expansion under the generalized Heston model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE
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2. Derivative market: efficient option pricing models and predictive informational content
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. READ MORE